英文标题：
《Tax- and expense-modified risk-minimization for insurance payment
processes》
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作者：
Kristian Buchardt and Christian Furrer and Thomas M{\\o}ller
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最新提交年份：
2020
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英文摘要：
We study the problem of determining risk-minimizing investment strategies for insurance payment processes in the presence of taxes and expenses. We consider the situation where taxes and expenses are paid continuously and symmetrically and introduce the concept of tax- and expense-modified risk-minimization. Risk-minimizing strategies in the presence of taxes and expenses are derived and linked to Galtchouk-Kunita-Watanabe decompositions associated with modified versions of the original payment processes. Furthermore, we show equivalence to an alternative approach involving an artificial market consisting of after-tax and after-expense assets, and we establish a type of consistency with classic risk-minimization. Finally, a case study involving classic multi-state life insurance payments in combination with a bond market exemplifies the results.
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中文摘要：
我们研究了在税收和费用存在的情况下，保险支付过程中风险最小化投资策略的确定问题。我们考虑了税收和费用连续对称支付的情况，引入了税收和费用修正风险最小化的概念。导出了存在税收和费用的风险最小化策略，并将其与Galtchouk Kunita Watanabe分解（与原始支付流程的修改版本相关）联系起来。此外，我们还证明了与包含税后和税后资产的人工市场的替代方法的等价性，并建立了与经典风险最小化的一致性。最后，一个典型的多州人寿保险支付与债券市场结合的案例研究举例说明了结果。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Mathematical Finance 数学金融学
分类描述：Mathematical and analytical methods of finance, including stochastic, probabilistic and functional analysis, algebraic, geometric and other methods
金融的数学和分析方法，包括随机、概率和泛函分析、代数、几何和其他方法
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一级分类：Mathematics 数学
二级分类：Probability 概率
分类描述：Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory
概率论与随机过程的理论与应用：例如中心极限定理，大偏差，随机微分方程，统计力学模型，排队论
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一级分类：Quantitative Finance 数量金融学
二级分类：Pricing of Securities 证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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